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Dynamic modeling of high-dimensional correlation matrices in finance

Golosnoy, Vasyl; Herwartz, Helmut - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10009672608

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets : evidence from the Asian financial crisis

Sirimon Treepongkaruna; Eliza, Wu - In: Research in international business and finance 26 (2012) 3, pp. 335-352

Persistent link: https://www.econbiz.de/10009615550

What drives dynamic comovements of stock markets in the Pacific Basin region? : a quantile regression approach

Lee, Hyunchul; Seung Mo Cho - In: International review of economics & finance : IREF 51 (2017), pp. 314-327

Persistent link: https://www.econbiz.de/10011754455

A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

Persistent link: https://www.econbiz.de/10012418423

Time-varying comovement of stock and treasury bond markets in Europe : a quantile regression approach

Lee, Hyunchul - In: International review of economics & finance : IREF 75 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012692434

DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations

Bauwens, Luc; Xu, Yongdeng - 2019

Persistent link: https://www.econbiz.de/10012215175

A dynamic conditional approach to forecasting portfolio weights

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126

Persistent link: https://www.econbiz.de/10012794818

Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting

Capera Romero, Laura; Opschoor, Anne - 2024

This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...

Persistent link: https://www.econbiz.de/10015064180

Nonfarm entrepreneurship, crop output, and household welfare in Tanzania : an exploration of transmission channels

Barasa, Laura; Kinuthia, Bethuel Kinyanjui; Araar, Abdelkrim - In: Agribusiness : an international journal 39 (2023) 3, pp. 762-792

Persistent link: https://www.econbiz.de/10014338276

The role of foreign direct investment and trade in urbanization in developing Asia : structural changes after the global financial crisis

Sinha, Madhabendra; Tirtosuharto, Darius - In: Asian development review : studies of Asian and pacific … 40 (2023) 2, pp. 343-362

A dynamic between foreign direct investment (FDI) and international trade, and the level of urbanization, has been observed in many developing countries. This study seeks to fill a literature gap on the extent that FDI and international trade impact developing Asian economies through...

Persistent link: https://www.econbiz.de/10014426338